IMPROVED SUPPORT VECTOR MACHINE PERFORMANCE USING PARTICLE SWARM OPTIMIZATION IN CREDIT RISK CLASSIFICATION

Abstract

In Classification using Support Vector Machine (SVM), each kernel has parameters that affect the classification accuracy results. This study examines the improvement of SVM performance by selecting parameters using Particle Swarm Optimization (PSO) on credit risk classification, the results of which are compared with SVM with random parameter selection. The classification performance is evaluated by applying the SVM classification to the Credit German benchmark credit data set and the private credit data set which is a credit data set issued from a local bank in North Sumatra. Although it requires a longer execution time to achieve optimal accuracy values, the SVM+PSO combination is quite effective and more systematic than trial and error techniques in finding SVM parameter values, so as to produce better accuracy. In general, the test results show that the RBF kernel is able to produce higher accuracy and f1-scores than linear and polynomial kernels. SVM classification with optimization using PSO can produce better accuracy than classification using SVM without optimization, namely the determination of parameters randomly. Credit data classification accuracy increased to 92.31%.